Go to the local shop and pick up as many small bottles as possible. Start with whichever one you want.
If you are at a bar, and have plenty to choose from, start off with a young malty whisky like Glenlivet 12yr. Then try a sherry finished whisky, like Macallan 12yr. Then try one with a more unique flavor profile like Talisker 10yr or Highland Park 12yr.